Rogers-Satchell volatility indicator (#144)

nardew · Jul 4, 2024 · 6e6cdc1 · 6e6cdc1
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diff --git a/README.md b/README.md
@@ -28,12 +28,10 @@ Last but not least, `talipp` is a community project and therefore open to any su
 
 ---
 
-### What's new in the latest version
+### What's new in the recent versions
 
-- ZigZag indicator
-- IBS indicator
+- Rogers-Satchell volatility indicator
 - auto-sampling of input values
-
 - [v2.0.0 scope](https://github.com/nardew/talipp/issues/111)
 
 For the full history of changes see [CHANGELOG](https://github.com/nardew/talipp/releases).

diff --git a/VERSION b/VERSION
@@ -1 +1 @@
-2.3.1
+2.4.0
diff --git a/docs/indicator-catalogue.md b/docs/indicator-catalogue.md
@@ -36,6 +36,7 @@
 | [ParabolicSAR][talipp.indicators.ParabolicSAR.ParabolicSAR]             | Parabolic Stop and Reverse            | [](https://school.stockcharts.com/doku.php?id=technical_indicators:parabolic_sar)                              |
 | [PivotsHL][talipp.indicators.PivotsHL.PivotsHL][^1][^2]                 | Pivot High Low Points                 |                                                                                                                      |
 | [ROC][talipp.indicators.ROC.ROC]                                        | Rate of Change                        | [](https://school.stockcharts.com/doku.php?id=technical_indicators:rate_of_change_roc_and_momentum)            |
+| [RogersSatchell][talipp.indicators.RogersSatcgell.RogersSatchell]       | Rogers-Satchell volatility indicator  | [](https://portfolioslab.com/tools/rogers-satchell)            |
 | [RSI][talipp.indicators.RSI.RSI]                                        | Relative Strength Index               | [](https://school.stockcharts.com/doku.php?id=technical_indicators:relative_strength_index_rsi)                |
 | [SFX][talipp.indicators.SFX.SFX]                                        |                                       |                                                                                                                      |
 | [SMA][talipp.indicators.SMA.SMA]                                        | Simple Moving Average                 | [](https://www.investopedia.com/terms/s/sma.asp)                                                               |

diff --git a/examples/binance_online.py b/examples/binance_online.py
@@ -8,7 +8,8 @@
 
 from talipp.indicators import AccuDist, ADX, ALMA, AO, Aroon, ATR, BB, BOP, CCI, ChaikinOsc, ChandeKrollStop, CHOP, \
     CoppockCurve, DEMA, DonchianChannels, DPO, EMA, EMV, ForceIndex, HMA, IBS, Ichimoku, \
-    KAMA, KeltnerChannels, KST, KVO, MACD, MassIndex, McGinleyDynamic, MeanDev, OBV, ROC, RSI, ParabolicSAR, \
+    KAMA, KeltnerChannels, KST, KVO, MACD, MassIndex, McGinleyDynamic, MeanDev, OBV, ROC, RogersSatchell, RSI, \
+    ParabolicSAR, \
     SFX, SMA, SMMA, SOBV, STC, StdDev, \
     Stoch, StochRSI, SuperTrend, T3, TEMA, TRIX, TSI, TTM, UO, VTX, VWAP, VWMA, WMA, ZigZag, ZLEMA
 from talipp.ohlcv import OHLCV
@@ -62,6 +63,7 @@ async def run():
     print(f'MeanDev: {MeanDev(10, close)[-1]}')
     print(f'OBV: {OBV(ohlcv)[-1]}')
     print(f'ROC: {ROC(9, close)[-1]}')
+    print(f'RogersSatchell: {RogersSatchell(9, ohlcv)[-5:]}')
     print(f'RSI: {RSI(14, close)[-1]}')
     print(f"SAR: {ParabolicSAR(0.02, 0.02, 0.2, ohlcv)[-20:]}")
     print(f'SFX: {SFX(12, 12, 3, ohlcv)[-1]}')

diff --git a/examples/indicators.py b/examples/indicators.py
@@ -2,7 +2,7 @@
 
 from talipp.indicators import AccuDist, ADX, ALMA, AO, Aroon, ATR, BB, BOP, CCI, ChaikinOsc, ChandeKrollStop, CHOP, \
     CoppockCurve, DEMA, DonchianChannels, DPO, EMA, EMV, ForceIndex, HMA, IBS, Ichimoku, KAMA, KeltnerChannels, KST, KVO, \
-    MACD, MassIndex, MeanDev, OBV, ROC, RSI, ParabolicSAR, SFX, SMA, SMMA, SOBV, STC, StdDev, Stoch, StochRSI, \
+    MACD, MassIndex, MeanDev, OBV, ROC, RogersSatchell, RSI, ParabolicSAR, SFX, SMA, SMMA, SOBV, STC, StdDev, Stoch, StochRSI, \
     SuperTrend, T3, TEMA, TRIX, TSI, TTM, UO, VTX, VWAP, VWMA, WMA, ZigZag, ZLEMA
 from talipp.ohlcv import OHLCVFactory
 
@@ -49,6 +49,7 @@
     print(f'MeanDev: {MeanDev(10, close)[-1]}')
     print(f'OBV: {OBV(ohlcv)[-1]}')
     print(f'ROC: {ROC(9, close)[-1]}')
+    #print(f'RogersSatchell: {RogersSatchell(9, ohlcv)[-1]}')
     print(f'RSI: {RSI(14, close)[-1]}')
     print(f"SAR: {ParabolicSAR(0.02, 0.02, 0.2, ohlcv)[-20:]}")
     print(f'SFX: {SFX(12, 12, 3, ohlcv)[-1]}')

diff --git a/talipp/indicators/RogersSatchell.py b/talipp/indicators/RogersSatchell.py
@@ -0,0 +1,48 @@
+from math import sqrt, log
+from typing import List, Any
+
+from talipp.indicator_util import has_valid_values
+from talipp.indicators.Indicator import Indicator, InputModifierType
+from talipp.input import SamplingPeriodType
+from talipp.ohlcv import OHLCV
+
+
+class RogersSatchell(Indicator):
+    """Rogers-Satchell volatility indicator.
+
+    Input type: [OHLCV][talipp.ohlcv.OHLCV]
+
+    Output type: `float`
+
+    Args:
+        period: Period.
+        input_values: List of input values.
+        input_indicator: Input indicator.
+        input_modifier: Input modifier.
+        input_sampling: Input sampling type.
+    """
+
+    def __init__(self, period: int,
+                 input_values: List[OHLCV] = None,
+                 input_indicator: Indicator = None,
+                 input_modifier: InputModifierType = None,
+                 input_sampling: SamplingPeriodType = None):
+        super().__init__(input_modifier=input_modifier,
+                         input_sampling=input_sampling)
+
+        self.period = period
+
+        self.mult = sqrt(1.0 / self.period)
+
+        self.initialize(input_values, input_indicator)
+
+    def _calculate_new_value(self) -> Any:
+        if not has_valid_values(self.input_values, self.period):
+            return None
+
+        s = 0.0
+        for ohlcv in self.input_values[-self.period:]:
+            s += log(float(ohlcv.high) / ohlcv.close) * log(float(ohlcv.high) / ohlcv.open) + log(float(ohlcv.low) / ohlcv.close) * log(float(ohlcv.low) / ohlcv.open)
+        print(s)
+        print(sqrt(s))
+        return  sqrt(s / self.period)
diff --git a/talipp/indicators/__init__.py b/talipp/indicators/__init__.py
@@ -32,6 +32,7 @@
 from .OBV import OBV as OBV
 from .PivotsHL import PivotsHL as PivotsHL
 from .ROC import ROC as ROC
+from .RogersSatchell import RogersSatchell as RogersSatchell
 from .RSI import RSI as RSI
 from .ParabolicSAR import ParabolicSAR as ParabolicSAR
 from .SFX import SFX as SFX
@@ -92,6 +93,7 @@
     "ParabolicSAR",
     "PivotsHL",
     "ROC",
+    "RogersSatchell",
     "RSI",
     "SFX",
     "SMA",

diff --git a/test/TalippTest.py b/test/TalippTest.py
@@ -24,7 +24,7 @@ def assertIndicatorUpdate(self, indicator: Indicator, iterations_no: int = 20):
 
         for i in range(1, iterations_no):
             if isinstance(last_input_value, OHLCV):
-                new_val = OHLCV(i + 1, i + 2, i + 3, i + 4, i + 5)
+                new_val = OHLCV(i + 2, i + 4, i + 1, i + 3, i + 5)
             else:
                 new_val = i
             indicator.update(new_val)
@@ -39,7 +39,7 @@ def assertIndicatorDelete(self, indicator: Indicator, iterations_no: int = 20):
 
         for i in range(1, iterations_no):
             if isinstance(last_input_value, OHLCV):
-                new_val = OHLCV((i + 1)**2, (i + 3)**2, (i + 5)**2, (i + 7)**2, i**2)
+                new_val = OHLCV((i + 3)**2, (i + 7)**2, (i + 1)**2, (i + 5)**2, i**2)
             else:
                 new_val = (i + 1)**2
             indicator.add(new_val)

diff --git a/test/test_RogersSatchel.py b/test/test_RogersSatchel.py
@@ -0,0 +1,32 @@
+import unittest
+
+from talipp.indicators import RogersSatchell
+
+from TalippTest import TalippTest
+
+
+class Test(TalippTest):
+    def setUp(self) -> None:
+        self.input_values = list(TalippTest.OHLCV_TMPL)
+
+    def test_init(self):
+        ind = RogersSatchell(9, self.input_values)
+
+        print(ind)
+
+        self.assertAlmostEqual(ind[-3], 0.036353, places = 5)
+        self.assertAlmostEqual(ind[-2], 0.035992, places = 5)
+        self.assertAlmostEqual(ind[-1], 0.040324, places = 5)
+
+    def test_update(self):
+        self.assertIndicatorUpdate(RogersSatchell(9, self.input_values))
+
+    def test_delete(self):
+        self.assertIndicatorDelete(RogersSatchell(9, self.input_values))
+
+    def test_purge_oldest(self):
+        self.assertIndicatorPurgeOldest(RogersSatchell(9, self.input_values))
+
+
+if __name__ == '__main__':
+    unittest.main()